Introduction: Hormone replacement therapy (HRT) has been associated with reduced risk of late-onset asthma but it is unclear whether this protection accumulates over time or is primarily linked to treatment initiation. Aims: To investigate the temporal pattern of protection against asthma onset associated with HRT use and assess differences by route of administration. Methods: We analysed a 15-year (2005–2019) open cohort of postmenopausal women aged 46–70 years using the Clinical Practice Research Datalink (N = 1,859,652). HRT exposure was derived from prescription records and classified annually. Cox regression models were used to compare current use, static lifetime duration, and episode-based duration defined as time since initiation, resetting after discontinuation. Episode-based analyses were conducted overall and repeated by route of administration (oral vs other). Results: Current HRT use was associated with a reduced hazard of asthma onset (HR 0.75, 95% CI 0.72–0.77). Static lifetime duration suggested a strong dose–response (≥5 years: HR 0.51, 95% CI 0.49–0.53). Episode-based analyses showed that protection against asthma onset was strongest in the first 1–2 years following initiation, with attenuation thereafter. Oral HRT remained protective at longer durations (≥5 years: HR 0.84, 95% CI 0.78–0.91), whereas HRT via other routes showed early protection (years 1–2: HR 0.86, 95% CI 0.77–0.97) that attenuated toward the null over time. Conclusions: Protection against asthma onset associated with HRT use is strongest shortly after initiation rather than accumulating with prolonged exposure. Episode-based exposure definitions clarify temporal risk patterns that are obscured by static lifetime summaries.